The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach

Table 4

Comparison of the American option pricing with and without scale correction.

Date	Without correction	Fast-scale correction	Slow-scale correction
13/02/2017	0.6957	0.039	0.00494
14/03/2017	0.6957	0.039	0.00462
26/05/2017	0.6957	0.038	0.00224